证券研究报告/金融工程定期报告 2026 年 03 月 01 日 分析师：吴先兴 执业证书编号：S0740525110003 Email：wuxx02@zts.com.cn 分析师：王鹏飞 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 量化择时周报：两会来临，短期关注政策驱动 1、《净利润断层策略本周超额收益 1.31%》2026-02-23 2、《量化择时周报：缩量信号如期出 现，聚焦科技与周期》2026-02-23 3.44%》2026-02-08 报告摘要 两会来临，短期关注政策驱动 请务必阅读正文之后的重要声明部分 上周周报（20260223）提示：综合来看，市场整体在海外影响以及日历效应的影响下， 风险偏好有望抬升，同时成交金额也到达我们预期的阶段地量水平，市场有望延续节 前反弹节奏。最终 WIND 全 A 全周上涨 2.75%，并创出新高。市值维度上，本周代表 小市值股票的中证 1000 上涨 4.34%，中盘股中证 500 指数上涨 4.32%，沪深 300 上 涨 1.08%，上证 50 上涨 0.17%;本周中信一级行业中，涨幅靠前的行业包括钢铁 ...

量化择时周报：两会来临，短期关注政策驱动 证券研究报告/金融工程定期报告 2026 年 03 月 01 日 分析师：吴先兴 执业证书编号：S0740525110003 Email：wuxx02@zts.com.cn 分析师：王鹏飞 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 1、《净利润断层策略本周超额收益 1.31%》2026-02-23 2、《量化择时周报：缩量信号如期出 现，聚焦科技与周期》2026-02-23 3.44%》2026-02-08 报告摘要 | 中泰量化周观点:两会来临,短期关注政策驱动 | | --- | | 风险提示 . | | 市场环境变动风险,模型基于历史数据。 . | | 图表 | 1 | ： | | | --- | --- | --- | --- | | 图表 | 2 | ： | PB 估值水平 4 | 两会来临，短期关注政策驱动 请务必阅读正文之后的重要声明部分 上周周报（20260223）提示：综合来看，市场整体在海外影响以及日历效应的影响下， 风险偏好有望抬升，同时成交金额也到达我们预期的阶段地量水平，市场有望延续节 前反弹 ...

- The report does not contain specific quantitative models or factors, nor does it provide detailed construction processes, formulas, or backtesting results for any quantitative models or factors. The content primarily focuses on market analysis, investment opportunities, and thematic discussions such as AI technology and price increase logic[2][3][10][11][12][13]

Group 1: Report Overview - The report is a weekly strategy report on industry rotation TF from February 2, 2026, to February 8, 2026, released on February 9, 2026 [1][2] - The strategy is based on two previous reports and constructs an ETF - based strategy portfolio [2] Group 2: Investment Recommendations Current Holdings and Changes - ETFs to be continued to hold include Building Materials ETF (159745, market value 21.67 billion yuan), Real Estate ETF (159707, market value 6.40 billion yuan), Petrochemical ETF (159731, market value 17.46 billion yuan), Chemical ETF (159870, market value 340.36 billion yuan), and Rare Metals ETF (562800, market value 62.40 billion yuan) [3] - ETFs to be newly added or adjusted to hold include Tourism ETF (159766, market value 91.07 billion yuan), Wine ETF (512690, market value 192.66 billion yuan), Traditional Chinese Medicine ETF (560080, market value 26.52 billion yuan), New Energy Vehicle ETF (515700, market value 19.75 billion yuan), and Agricultural ETF Harvest (516550, market value 2.03 billion yuan) [3] - ETFs to be removed from the portfolio include Non - Ferrous Metals ETF (512400, market value 352.52 billion yuan), Gold Stocks ETF (517520, market value 151.34 billion yuan), Grain ETF (159698, market value 4.66 billion yuan), Securities and Insurance ETF E Fund (512070, market value 201.73 billion yuan), and Agricultural ETF (159825, market value 26.26 billion yuan) [11] Sector Recommendations - The model recommends allocating to sectors such as cement, real estate development, and airport aviation in the week of February 9, 2026 [12] - In the next week, the strategy will newly hold Game ETF, Wine ETF, Traditional Chinese Medicine ETF, and New Energy Vehicle ETF, and continue to hold Building Materials ETF, Real Estate ETF, and Petrochemical ETF [12] Group 3: Performance Tracking - From February 2 to February 6, 2026, the cumulative net return of the strategy was approximately - 3.85%, and the excess return relative to the CSI 300 ETF was approximately - 2.53% [3] - From October 14, 2024, to February 6, 2026, the out - of - sample cumulative return of the strategy was approximately 38.45%, and the cumulative excess return relative to the CSI 300 ETF was approximately 15.41% [3]

建材ETF（516750）跟踪中证全指建筑材料指数，该指数从中证全指指数中选取业务涉及建筑材料领域 的上市公司证券作为指数样本，覆盖水泥、防水、玻璃等多领域，成份股包括海螺水泥、东方雨虹、北 新建材等龙头企业。 （文章来源：每日经济新闻） 有券商表示，行业目前盈利已触底，价格经历多年竞争目前已无向下空间，此次借助反内卷政策行业对 提价及盈利改善诉求强烈。2025年防水、涂料、石膏板等多品类持续发布提价函，行业盈利有望触底， 2026年可期待龙头企业的盈利改善。从时间维度看，尤其需要重视今年3-4月有望呈现"十五五"开门 红，建议节前淡季继续重点配置。 此外，楼市成交呈现淡季不淡、企稳修复迹象，随着步入传统需求旺季，三月成交或延续温和修复，带 动价格阶段性企稳，2026年政策端仍值得期待。 A股三大指数今日高开高走，建材行业近期持续走强，板块个股早盘一度快速拉升，金晶科技涨停，苏 博特涨超7%，蒙娜丽莎涨超6%。 受盘面影响，建材ETF（516750）早盘一度涨近2%，今年以来累计涨幅约14%，强于大盘。 ...

Core Viewpoint - The recent surge in various ETFs, particularly in the metals and mining sectors, indicates a recovery in market sentiment following a period of volatility, driven by technical corrections and strategic reserve initiatives by major economies [1][2][4]. ETF Performance - The following ETFs have shown significant gains: - Cathay Metals ETF: +6.23% YTD +16.57% - Mining ETF: +5.80% YTD +18.51% - Cathay Metals LOF: +5.72% YTD +16.21% - Cathay Gold ETF: +5.03% YTD +12.07% - Gold Stocks ETF: +4.24% YTD +29.39% - Cathay Chemical ETF: +4.03% YTD +8.03% - Building Materials ETF: +4.03% YTD +10.91% [1]. Market Dynamics - The rebound in gold prices, reaching a peak of $4,949.99, and silver prices above $87, reflects a shift in market dynamics, with short positions being closed and new buying interest emerging [2]. - The increase in holdings of the iShares Silver Trust by 1,023.23 tons marks the third-largest single-day increase in its history, indicating strong investor interest [3]. Strategic Reserve Initiatives - The Chinese government is exploring the expansion of its copper strategic reserve, which may support copper prices, similar to the U.S. strategic reserve initiatives [3]. - Trump's plan to initiate a $12 billion mineral reserve aims to bolster U.S. manufacturing against supply disruptions, reflecting a shift towards prioritizing security over efficiency in resource management [4]. Future Outlook - The expectation of a resource bull market remains, supported by historical patterns where extreme volatility in gold prices often precedes significant upward trends [5]. - Long-term factors such as monetary easing, the safe-haven appeal of gold, and the trend of de-dollarization are expected to sustain gold's upward trajectory [6]. - Investors are advised to adopt differentiated strategies, balancing short-term opportunities with long-term value, while being cautious of market volatility [7]. Related Investment Opportunities - Key ETFs to consider include: - Largest Oil ETF: 561360 - Unique Coal ETF: 515220 - Cathay Chemical ETF: 516220 - Largest Building Materials ETF: 159745 [9][10].

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints of the Report - The Financial Street Securities Research Institute constructs a strategy portfolio based on industry and thematic ETFs, referring to the strategy reports "Strategy Portfolio Report under Industry Rotation: Quantitative Analysis from the Perspective of Industry Style Continuity and Switching" (20241007) and "Research on the Overview and Allocation Methods of the Stock - type ETF Market: Taking the ETF Portfolio Based on the Industry Rotation Strategy as an Example" (20241013) [2] - From 20260126 - 20260130, the cumulative net return of the strategy was approximately - 0.24%, and the excess return relative to the CSI 300 ETF was approximately - 0.39%. From October 14, 2024, to the present, the cumulative out - of - sample return of the strategy was approximately 44.34%, and the cumulative excess return relative to the CSI 300 ETF was approximately 19.78% [3] - In the week of February 2, 2026, the model recommends allocating sectors such as refining and trading, cement, and industrial metals. In the next week, the strategy will newly hold products such as Building Materials ETF, Non - Ferrous Metals ETF, and Real Estate ETF, and continue to hold products such as Petrochemical ETF, Chemical ETF, and Gold Stocks ETF [12] 3. Summary by Relevant Catalog 3.1 Strategy Portfolio Information - The strategy portfolio includes ETFs such as Petrochemical ETF (159731), Building Materials ETF (159745), Non - Ferrous Metals ETF (512400), etc. Each ETF has information such as market value, holding status, heavy - held Shenwan industries and their weights, as well as weekly and daily timing signals. For example, the Petrochemical ETF has a market value of 16.60 billion yuan, and the heavy - held industry is refining and trading with a weight of 27.28%, and both the weekly and daily timing signals are 1 [3] 3.2 Performance Tracking - During 20260126 - 20260130, the cumulative net return of the strategy was about - 0.24%, and the excess return relative to the CSI 300 ETF was about - 0.39%. From October 14, 2024 to now, the cumulative out - of - sample return of the strategy was about 44.34%, and the cumulative excess return relative to the CSI 300 ETF was about 19.78% [3] 3.3 Portfolio Adjustment - In the week of February 2, 2026, the strategy will add holdings of Building Materials ETF, Non - Ferrous Metals ETF, Real Estate ETF, etc., and continue to hold Petrochemical ETF, Chemical ETF, Gold Stocks ETF, etc. Some previously held ETFs such as Mining ETF, Communication ETF, etc. will be removed from the portfolio [3][11][12]

金融工程定期 金融工程研究团队 魏建榕（首席分析师） 证书编号：S0790519120001 傅开波（分析师） 证书编号：S0790520090003 高 鹏（分析师） 证书编号：S0790520090002 苏俊豪（分析师） 证书编号：S0790522020001 胡亮勇（分析师） 证书编号：S0790522030001 王志豪（分析师） 证书编号：S0790522070003 股债配置观点：看多权益资产，最新权益仓位 25% 盛少成（分析师） 证书编号：S0790523060003 蒋 韬（分析师） 证书编号：S0790525070001 资产配置月报（2026 年 2 月） weijianrong@kysec.cn 证书编号：S0790519120001 魏建榕（分析师） 王志豪（分析师） 苏俊豪（分析师） wangzhihao@kysec.cn 证书编号：S0790522070003 sujunhao@kysec.cn 证书编号：S0790522020001 多资产配置观点：看多短债、平衡低估转债，谨慎看多黄金资产 债券久期择时：模型预测未来三个月水平因子上升，斜率因子陡峭化，曲率因 子增凸，推荐持有 ...

建材ETF（159745）跟踪的是建筑材料指数（931009），该指数主要涵盖从事建材生产、销售及相 关服务的企业，包括水泥、玻璃、陶瓷等子行业，以反映建筑材料相关上市公司证券的整体表现。 根据wind数据，建材ETF（159745）盘中净流入4.08亿份，资金抢筹布局。 中泰证券指出，水泥行业在"反内卷"大背景下易涨难跌。全国水泥市场价格环比保持平稳。元月下 旬，受全国大范围降温、雨雪天气影响，水泥需求大幅下滑，国内重点地区水泥企业平均出货率降至 29%，环比回落约10个百分点，临近春节，预计后期需求恢复空间有限，水泥价格多将维持稳中趋弱态 势为主。此外，2025年行业通过产线置换实现历史首次实质性去产能，2026-27年有含去30%产能的预 期，行业盈利能力有望大幅改善。 （责任编辑：刘畅 ） 【免责声明】本文仅代表作者本人观点，与和讯网无关。和讯网站对文中陈述、观点判断保持中立，不对所包含内容 的准确性、可靠性或完整性提供任何明示或暗示的保证。请读者仅作参考，并请自行承担全部责任。邮箱： news_center@staff.hexun.com 风险提示：提及个股仅用于行业事件分析，不构成任何个股推荐或投 ...

Market Overview - The A-share market exhibited a fluctuating upward trend this week, with major broad-based indices showing mixed performance and significant market style differentiation [1] - International gold prices recently reached a new historical high, leading to strong performance in related ETFs, with gold stock ETFs rising by 13.17%, the highest among all [1][2] - Other sectors such as photovoltaic and building materials ETFs also saw substantial gains, while Hong Kong innovative drug-related ETFs experienced slight adjustments [1] Fund Flow Analysis - Overall, ETF funds experienced a net outflow of 696.39 billion, with broad-based ETFs facing a net outflow of 873.01 billion, while industry ETFs saw a net inflow of 143.04 billion and commodity ETFs a net inflow of 32.91 billion [3] - Funds have not exited the market but have shifted towards more elastic sectors, with significant net inflows into TMT (Technology, Media, Telecommunications) and cyclical sectors like non-ferrous metals, indicating active funds' preference for technology growth themes [2][3] ETF Performance - The top-performing gold stock ETFs included: - 517400 Gold Stock ETF with a 13.17% increase and a latest scale of 826 million [2] - 159315 Gold Stock ETF from ICBC with a 13.03% increase and a scale of 222 million [2] - 517520 Gold Stock ETF from Yongying with a 12.95% increase and a scale of 177.52 billion [2] - Photovoltaic ETFs also performed well, with the top performer being 560980 Photovoltaic Leader ETF from GF with a 10.71% increase and a scale of 565 million [2] Upcoming ETF Listings - Next week, four new ETFs are set to be listed, including: - 589190 Sci-Tech Chip ETF from Huabao, with subscription starting on December 30, 2025 [5] - 159158 Power ETF from Invesco, with subscription starting on January 7, 2026 [5] - 589220 Sci-Tech 200 ETF from Guotai, with subscription starting on January 5, 2026 [5]